Some Computational Aspects of Maximum Likelihood Estimation of the Skew-t Distribution

DOI10.1007/978-3-030-42196-0_1MaRDI QIDQ5050402zbMATH OpenOpenAlexFDO

Authors Adelchi Azzalini, Mahdi Salehi

Publication date 15 November 2022

Published in Emerging Topics in Statistics and Biostatistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.10397

zbMATH Keywords

asymmetrycomputing timedeviance functiondivergent estimatesexplanatory variablesflexible distributionsGalton-Bowley measureinterpolationkurtosismaximum likelihood estimation (MLE)median regressionMoors measure of kurtosismultivariate skew-\(t\) distributionnumerical optimizationpenalized log-likelihoodperturbation invariance propertypositive-definite matrixpreliminary estimatesprofile log-likelihoodquantile regressionquartile deviationR package snskew-normal distributionskewnessSnedecor's \(F(1,\nu)\) distributionstudent's \(t\) distributionsymmetry-modulated distributionstail-weightunivariate skew-\(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites work

• A general class of multivariate skew-elliptical distributions
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Encyclopedia of statistical sciences. 16 Vols.
• Estimating the components of a mixture of normal distributions
• Maximum penalized likelihood estimation for skew-normal and skew-t distributions
• Multivariate skewt-distribution
• Quantile regression.
• Recent Advances in Robust Statistics: Theory and Applications
• Robust Likelihood Methods Based on the Skew-t and Related Distributions
• Skew-symmetric distributions and Fisher information -- a tale of two densities
• The Distribution of the Product of Two Correlated t Variates
• The skew-normal and related families. With the collaboration of Antonella Capitanio.

Cited in

(5)

• A semi-parametric density estimation with application in clustering
• A note on bias reduction of maximum likelihood estimates for the scalar skew t distribution
• Appropriate use of parametric and nonparametric methods in estimating regression models with various shapes of errors
• Discussion on: ``A high-resolution bilevel skew-\(t\) stochastic generator for assessing Saudi Arabia's wind energy resources
• Rejoinder to the discussion on: ``A high-resolution bilevel skew-\(t\) stochastic generator for assessing Saudi Arabia's wind energy resources

Describes a project that uses

Uses Software

• Matrix
• sn
• quantreg

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